Related papers: Equilibria and Systemic Risk in Saturated Networks
We study a static game played by a finite number of agents, in which agents are assigned independent and identically distributed random types and each agent minimizes its objective function by choosing from a set of admissible actions that…
We consider multi-agent decision making where each agent optimizes its convex cost function subject to individual and coupling constraints. The constraint sets are compact convex subsets of a Euclidean space. To learn Nash equilibria, we…
This paper considers a distributed gossip approach for finding a Nash equilibrium in networked games on graphs. In such games a player's cost function may be affected by the actions of any subset of players. An interference graph is…
We study pure Nash equilibria in infinite-duration games on graphs, with partial visibility of actions but communication (based on a graph) among the players. We show that a simple communication mechanism consisting in reporting the…
In this paper, we consider the problem of network design on network games. We study the conditions on the adjacency matrix of the underlying network to design a game such that the Nash equilibrium coincides with the social optimum. We…
We propose a model of inter-bank lending and borrowing which takes into account clearing debt obligations. The evolution of log-monetary reserves of $N$ banks is described by coupled diffusions driven by controls with delay in their drifts.…
We study agents on a network playing an iterated Prisoner's dilemma against their neighbors. The resulting spatially extended co-evolutionary game exhibits stationary states which are Nash equilibria. After perturbation of these equilibria,…
We consider a novel adversarial shock/protection problem for a class of network equilibria models emerging from a variety of different fields as continuous network games, production networks, opinion dynamic models. The problem is casted…
Existing settings of decentralized learning either require players to have full information or the system to have certain special structure that may be hard to check and hinder their applicability to practical systems. To overcome this, we…
Interactions among selfish users sharing a common transmission channel can be modeled as a non-cooperative game using the game theory framework. When selfish users choose their transmission probabilities independently without any…
The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system. Conventional approaches based on the notion of the existence of equilibrium and those which rely on statistical…
A growing body of studies on systemic risk in financial markets has emphasized the key importance of taking into consideration the complex interconnections among financial institutions. Much effort has been put in modeling the contagion…
Power system operators and electric utility companies often impose a coincident peak demand charge on customers when the aggregate system demand reaches its maximum. This charge incentivizes customers to strategically shift their peak usage…
We characterize Nash equilibrium by postulating coherent behavior across varying games. Nash equilibrium is the only solution concept that satisfies the following axioms: (i) strictly dominant actions are played with positive probability,…
This article considers a two-player strategic game for network routing under link disruptions. Player 1 (defender) routes flow through a network to maximize her value of effective flow while facing transportation costs. Player 2 (attacker)…
We study a networked economic system composed of $n$ producers supplying a single homogeneous good to a number of geographically separated markets and of a centralized authority, called the market maker. Producers compete \`a la Cournot, by…
We investigate the equilibria of a random model network exhibiting extensive chaos. In this regime, a large number of equilibria is present. They are all saddles with low-dimensional unstable manifolds. Surprisingly, despite network's…
We consider a class of interdependent security games on networks where each node chooses a personal level of security investment. The attack probability experienced by a node is a function of her own investment and the investment by her…
Noncooperative games with uncertain payoffs have been classically studied under the expected-utility theory framework, which relies on the strong assumption that agents behave rationally. However, simple experiments on human decision makers…
We analyze the systemic risk for disjoint and overlapping groups (e.g., central clearing counterparties (CCP)) by proposing new models with realistic game features. Specifically, we generalize the systemic risk measure proposed in [F.…